Fitting a distribution to survey data for the half-life of deviations from PPP

This note presents a nonparametric Bayesian approach to fitting a distribution to the survey data provided in Kilian and Zha (2002) regarding the prior for the half-life of deviations from purchasing power parity (PPP). A point mass at infinity is included. The unknown density is represented as an average of shape-restricted Bernstein polynomials, each of which has been skewed according to a preliminary parametric fit. A sparsity prior is adopted for regularization.

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Year of publication:	2015
Authors:	Fisher, Mark
Publisher:	Atlanta, GA : Federal Reserve Bank of Atlanta
Subject:	nonparametric Bayesian estimation \| Bernstein polynomials \| simplex regression \| importance sampling \| PPP half-life deviations

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Series:	Working Paper ; 2015-15
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	84408591X [GVK] hdl:10419/130625 [Handle]
Classification:	C11 - Bayesian Analysis ; C14 - Semiparametric and Nonparametric Methods ; F31 - Foreign Exchange
Source:	EconStor

Persistent link: https://www.econbiz.de/10011460622